Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0036
Annualized Std Dev 0.1710
Annualized Sharpe (Rf=0%) 0.0209

Row

Daily Return Statistics

Close
Observations 3382.0000
NAs 1.0000
Minimum -0.1726
Quartile 1 -0.0024
Median 0.0004
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0029
Maximum 0.1824
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0108
Skewness -0.6977
Kurtosis 77.3263

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0091
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0123
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.4944
Historical VaR (95%) -0.0089
Historical ES (95%) -0.0237
Modified VaR (95%) -0.0029
Modified ES (95%) -0.0029
From Trough To Depth Length To Trough Recovery
2008-09-30 2008-10-27 2010-07-30 -0.4944 462 20 442
2013-01-03 2020-03-18 NA -0.3620 2068 1814 NA
2008-01-02 2008-09-17 2008-09-29 -0.2439 188 180 8
2010-11-05 2011-10-04 2012-05-03 -0.0899 376 230 146
2012-05-08 2012-06-01 2012-06-29 -0.0414 38 18 20

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA 0.3 0.7 2.3 3.2
2008 1.3 0.4 -0.2 -0.5 -0.3 -2.5 -0.4 0.3 4.7 -3.8 -1.5 -0.9 -3.5
2009 0.8 1.1 -0.1 -0.3 -0.2 0.4 0.2 0 0.1 -0.2 0.3 0.7 3
2010 -0.1 0.6 0 -0.2 0.4 -0.1 0.3 0.3 -0.1 -0.1 0.9 0.2 2.1
2011 0.1 0.1 0.4 0.3 -0.3 0.3 0.7 0.2 -1.2 0.1 0.1 0 0.7
2012 0 0.4 0 0.1 -0.6 0.7 0.1 0 0.4 0.1 0 0.1 1.3
2013 0.1 -0.2 -0.2 0.3 -1 1.3 -0.3 0 -0.1 -0.4 -0.1 -0.1 -0.7
2014 -0.3 0 0.3 0.1 0 -0.4 -0.8 0.1 0.4 -0.1 -0.4 -0.6 -1.6
2015 0.1 0.1 0.4 0 -0.4 0.5 0.3 -0.3 0.2 -0.2 0.2 -0.1 0.8
2016 -0.4 0.9 0.4 -0.1 0 -0.1 -0.2 -0.3 0.2 -0.1 -0.7 0 -0.5
2017 0 -0.2 0 -0.1 0.2 -0.1 0.1 0 0.3 0.1 0.3 0.1 0.7
2018 -0.3 -0.5 0.5 -0.3 -0.5 0 -0.4 -0.2 0.2 0.6 0.3 0.3 -0.4
2019 -0.1 -0.3 0.4 0 -0.2 0.9 0.3 0.4 -0.3 0.6 -0.2 0.1 1.6
2020 0.3 -0.4 -4.9 -0.4 0.5 0.4 0.4 0.9 0.2 -0.3 0.1 0.1 -3.1
2021 0.5 0.9 0.3 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-10-11  25.7 SPY    155. -0.00480   0.0094   0.0514  0.004      0.149    0.376    0.991 GLD    73.9  7.50e-3   0.0143
2 2007-10-12  25.7 SPY    156.  0.0055    0.0031   0.0498  0.0097     0.157    0.389    0.939 GLD    74.6  9.20e-3   0.0162
3 2007-10-15  25.7 SPY    155. -0.0084   -0.0001   0.041   0.0017     0.137    0.390    0.842 GLD    75.1  7.40e-3   0.036 
4 2007-10-16  25.7 SPY    154. -0.0079   -0.0173   0.0384 -0.0045     0.126    0.390    0.817 GLD    75.1 -3.00e-4   0.0278
5 2007-10-17  25.8 SPY    154.  0.0031   -0.0126   0.0117 -0.0053     0.127    0.386    0.739 GLD    74.5 -8.30e-3   0.0155
6 2007-10-18  25.9 SPY    154. -0.0036   -0.0114   0.0022  0.00120    0.127    0.376    0.776 GLD    76    2.01e-2   0.0283
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart